| Basis Swaps January 24, 2001 | ||||||||
| PRIME vs LIBOR | 3MO T-BILLS vs LIBOR | FED FUNDS vs LIBOR | BMA vs LIBOR | |||||
| PAY PRIME | REC PRIME | PAY BILLS | REC BILLS | PAY FF | REC FF | PAY % LIBOR | REC % LIBOR | |
| 3 MO | p-290 | p-287 | B+55 | B+65 | F+14 | F+17 | ||
| 6 MO | p-289 | p-286 | B+59 | B+69 | F+14 | F+17 | ||
| 9 MO | p-289 | p-286 | B+60 | B+70 | F+14.5 | F+17.5 | ||
| 1 YR | p-289 | p-286 | B+63 | B+73 | F+17.5 | F+20.5 | 63.25% | 64.25% |
| 2 YR | p-286.5 | p-283.5 | B+68 | B+78 | F+18 | F+21 | 65.00% | 66.00% |
| 3 YR | p-285 | p-282 | B+72 | B+82 | F+19 | F+22 | 66.00% | 67.00% |
| 4 YR | p-284 | p-281 | B+75 | B+85 | F+19.5 | F+22.5 | 67.00% | 68.00% |
| 5 YR | p-282 | P-279 | B+77 | B+87 | F+20 | F+23 | 68.25% | 69.25% |
| 7 YR | P-281 | P-278 | B+74 | B+84 | F+21 | F+24 | 69.75% | 70.75% |
| 10 YR | P-280 | P-277 | B+74 | B+84 | F+22 | F+25 | 72.00% | 73.00% |
| CMT vs. Libor | ||||||
| 2 YR CMT | 5 YR CMT | 10 YR CMT | ||||
| 1 YR | CMT 47 | CMT 49 | CMT 29 | CMT 33 | CMT 17 | CMT 21 |
| 2 YR | CMT 50 | CMT 54 | CMT 31 | CMT35 | CMT 17 | CMT 21 |
| 3 YR | CMT 51 | CMT 55 | CMT 38 | CMT 42 | CMT 18 | CMT22 |
| 4 YR | CMT 52 | CMT 56 | CMT 40 | CMT 44 | CMT 19 | CMT23 |
| 5 YR | CMT 54 | CMT 58 | CMT 44 | CMT 48 | CMT 19 | CMT23 |
| 7 YR | CMT 54 | CMT 58 | CMT 49 | CMT 53 | CMT 20 | CMT24 |
| 10 YR | CMT 54 | CMT 58 | CMT 55 | CMT 59 | CMT 21 | CMT25 |
